股票定价模式及股价分解测度方法研究——基于输入输出转换及相对比较的视角

中国管理科学 ›› 2010, Vol. 18 ›› Issue (5): 14-20.

股票定价模式及股价分解测度方法研究——基于输入输出转换及相对比较的视角

易荣华, 李必静

中国计量学院经济与管理学院, 浙江杭州 310018

收稿日期:2010-03-15 修回日期:2010-04-07 出版日期:2010-10-30 发布日期:2010-10-30
作者简介:易荣华(1962- ),男(汉族),中国计量学院经济与管理学院教授,硕士生导师,博士,研究方向:金融工程.
基金资助:
国家自然科学基金项目(70873115)

The Pricing Model and Decomposition Measure of Stock Price:Based on the Perspective of Input-output Conversion and Relative Pricing

YI Rong-hua, LI Bi-jing

School of Economics & Management, China Jiliang University, Hangzhou 310018, China

Received:2010-03-15 Revised:2010-04-07 Online:2010-10-30 Published:2010-10-30

摘要/Abstract

摘要： 通过超额收益统计检验研究市场有效性和利用均值—方差投资组合理论间接研究金融资产定价的经典方法与范式正面临尖锐的质疑和挑战.本文从输入输出转换和相对比较的视角对股票定价机制进行了分析,提出了一个涵盖四类定价因素,综合反映股票内在价值和相对价值的定价模式,给出了各组成部分的测度模型.最后,利用9家多重上市公司股票论证了本文提出方法的有效性.

关键词: 定价模式, 股价分解, 相对定价, 测度方法

Abstract: To examine the market efficiency based on excess returns statistical tests and to study indirectly financial asset pricing based on the mean-variance portfolio theory,the classical method and paradigm is facing sharp questions and challenges.From the perspective of input-output conversion and relative pricing,this paper analyzes stock pricing mechanism and presents the stock pricing model,which covers four types of pricing factors and integrates the intrinsic value and relative value,as well as gives the measurement model of the various components of stock price.Finally,nine multi-listed firm's stocks demon strates the effectiveness of the proposed method.

Key words: pricing model, price decomposition, relative pricing, measuring method

中图分类号:

F830.91
C934

易荣华, 李必静. 股票定价模式及股价分解测度方法研究——基于输入输出转换及相对比较的视角[J]. 中国管理科学, 2010, 18(5): 14-20.

YI Rong-hua, LI Bi-jing. The Pricing Model and Decomposition Measure of Stock Price:Based on the Perspective of Input-output Conversion and Relative Pricing[J]. Chinese Journal of Management Science, 2010, 18(5): 14-20.